Adam Kučera, Michal Dvořák, Zlatuše Komárková
The term structure of yields is an important source of information on market expectations about future macroeconomic developments and investors’ risk perceptions and preferences. This article presents the methodology used by the CNB to obtain such information. It describes the decomposition of the Czech government bond yield curve into its components. The evolution of those components is interpreted in relation to the macro-financial environment. The practical use of the method in the financial sector stress tests conducted by the CNB is then presented.
Issued: June 2017
Download: Thematic article in the Financial Stability Report 2016/2017 (pdf, 177 kB)
